Pages that link to "Item:Q5363838"

The following pages link to An equilibrium characterization of the term structure (Q5363838):

Displaying 50 items.

• Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach (Q2029400) (← links)
• How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? (Q2033711) (← links)
• Lévy-Ito models in finance (Q2039766) (← links)
• Modelling dynamic lapse with survival analysis and machine learning in CPI (Q2044802) (← links)
• PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model (Q2045957) (← links)
• Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model (Q2059103) (← links)
• Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes (Q2060664) (← links)
• Statistical inference for nonergodic weighted fractional Vasicek models (Q2062450) (← links)
• A revised version of the Cathcart \& El-Jahel model and its application to CDS market (Q2064595) (← links)
• The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration (Q2066792) (← links)
• Maximum likelihood estimation for sub-fractional Vasicek model (Q2066932) (← links)
• Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process (Q2071035) (← links)
• Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model (Q2073576) (← links)
• Computation of powered option prices under a general model for underlying asset dynamics (Q2074891) (← links)
• Maximum likelihood estimation of diffusions by continuous time Markov chain (Q2076164) (← links)
• Is normal backwardation normal? Valuing financial futures with a local index-rate covariance (Q2076945) (← links)
• Kalman filter approach to real options with active learning (Q2090119) (← links)
• Pricing of European call option under fuzzy interest rate (Q2097490) (← links)
• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) (← links)
• An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model (Q2100206) (← links)
• How to handle negative interest rates in a CIR framework (Q2101691) (← links)
• Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate (Q2103521) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• American options and stochastic interest rates (Q2109007) (← links)
• Alternative way to derive the distribution of the multivariate Ornstein-Uhlenbeck process (Q2114279) (← links)
• Analytical expressions to counterparty credit risk exposures for interest rate derivatives (Q2125642) (← links)
• Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type (Q2128243) (← links)
• Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling (Q2132786) (← links)
• Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces (Q2137753) (← links)
• Model order reduction for the simulation of parametric interest rate models in financial risk analysis (Q2138212) (← links)
• Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process (Q2139685) (← links)
• A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders (Q2145706) (← links)
• Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance (Q2149673) (← links)
• Bond prices under information asymmetry and a short rate with instantaneous feedback (Q2152233) (← links)
• Valuation of annuity guarantees under a self-exciting switching jump model (Q2152249) (← links)
• Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing (Q2152266) (← links)
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
• Affine arbitrage-free yield net models with application to the euro debt crisis (Q2155317) (← links)
• Sample recycling method -- a new approach to efficient nested Monte Carlo simulations (Q2155860) (← links)
• Quasi-closed-form solution and numerical method for currency option with uncertain volatility model (Q2156574) (← links)
• Planetary boundaries of consumption growth: declining social discount rates (Q2157176) (← links)
• Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach (Q2157215) (← links)
• Profit optimization of cattle growth with variable prices (Q2157415) (← links)
• Stochastic modeling of currency exchange rates with novel validation techniques (Q2158962) (← links)
• An interest-rate model with jumps for uncertain financial markets (Q2161801) (← links)
• Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation (Q2163140) (← links)
• Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods (Q2165386) (← links)
• The distribution of strike size: empirical evidence from Europe and north America in the 19th and 20th centuries (Q2165674) (← links)
• Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory (Q2171344) (← links)
• Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective (Q2189908) (← links)